文章基本信息

标题：The Inter-Temporal Causal Nexus between Indian Commodity Futures and Spot Prices: A Wavelet Analysis
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作者：Anto Joseph 1* , Garima Sisodia 1 , Aviral Kumar Tiwari
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2015
卷号：05
期号：02
页码：312-324
DOI：10.4236/tel.2015.52037
语种：English
出版社：Scientific Research Publishing
摘要：This study examines the inter-temporal causal nexus between Indian commodity futures and spot prices by using wavelet analysis. Wavelet analysis offers an effective alternative tool to examine the inter-temporal causal relationship in time as well as frequency domains, providing a deeper understanding of direction, strength and extent of such causal relationship; whereas traditional econometric causality analysis tools focus only on the time domain. The empirical results of wavelet analysis suggest that the Indian commodity futures market has a powerful price discovery function in all the selected commodities, which in turn indicates the efficiency of the Indian commodity futures market.
关键词：Commodity Futures; Price Discovery; Causality; Wavelet Analysis